ADR cross-listing intraday arb
Cross-Asset HFTNeutral
Race US-listed ADR vs foreign primary listing during overlap
Source: Cross-List
Adaptive arrival price (Kissell)
Execution AlgosNeutral
Update IS schedule as fills come in based on realized impact
Source: Kissell
Aeron messaging for exchange comms
InfrastructureNeutral
UDP-based reliable messaging library for ultra-low latency inter-process comms
Source: Aeron
Aggressive order detection
Order Flow PredictionLong/Short
Classify aggressor side via Lee-Ready algo; signal direction next 1-5sec
Source: Lee-Ready
Almgren-Chriss optimal liquidation
Execution AlgosNeutral
Closed-form schedule trading off market impact vs timing risk
Source: Almgren Chriss 2001
Auction imbalance trading
Microstructure TacticsLong/Short
Position based on opening/closing auction imbalance prints (10:00am 3:50pm)
Source: Auction
Avellaneda-Stoikov optimal MM
Market MakingNeutral
Closed-form bid-ask quotes accounting for inventory risk and risk aversion; standard MM framework
Source: Avellaneda 2008
CME Globex MDP3 feed
InfrastructureNeutral
CME multicast direct feed for futures full LOB
Source: CME
Cartea-Jaimungal optimal MM with jump risk
Market MakingNeutral
Optimal quotes accounting for jump diffusion in fundamental value
Source: Cartea Jaimungal
Circuit breaker reopen
Microstructure TacticsLong/Short
Trade SP500 7%/13%/20% circuit breaker reopens; volatility burst
Source: Reg
Co-location at exchange data center
InfrastructureNeutral
Cross-connects in NY4/LD4/Mahwah/Carteret; cuts to <1us round trip on exchange
Source: Co-Lo
Co-location distance arb
Latency ArbNeutral
Microwave/laser links Chicago-NJ-Mahwah for E-mini-cash arb; faster than fiber
Source: Spread Networks
Conditional order MM
Market MakingNeutral
Liquidnet/POSIT conditional orders; match large blocks at midpoint
Source: Block Trading
Consolidated Audit Trail (CAT) reporting
ComplianceNeutral
SEC-mandated reporting of all orders/fills/cancels; required all algos compliant
Source: CAT
Cross-asset latency arb (gold-AUDUSD)
Latency ArbNeutral
AUDUSD lags gold in some windows; race AUDUSD quote updates after gold move
Source: Quant
Cross-exchange equity latency arb
Latency ArbNeutral
Race between NYSE/BATS/NASDAQ; trade stale quotes 1-5ms after price moves
Source: Budish QJE
Crypto cross-exchange BTC arb
Cross-Asset HFTNeutral
BTC price gap Binance/Coinbase 5-50bp; race to capture across exchanges
Source: Crypto
Crypto exchange latency arb
Latency ArbNeutral
Binance Coinbase Kraken price gaps; FIX/WebSocket race conditions exploit
Source: Crypto HFT
Crypto perpetual-spot arb (basis)
Cross-Asset HFTNeutral
Long spot short perpetual when funding +; collect funding without dir exposure
Source: Crypto
Crypto triangular arb
Cross-Asset HFTNeutral
BTC/USDT * ETH/BTC = ETH/USDT; arb discrepancies on Binance
Source: Crypto
Currency triangular arb
Cross-Asset HFTNeutral
EUR/USD * USD/JPY = EUR/JPY; trade discrepancies sub-millisecond
Source: FX HFT
Custom network cards (Solarflare X2)
InfrastructureNeutral
Sub-microsecond NIC for tick capture
Source: Network
DEX-CEX arb
Cross-Asset HFTNeutral
Uniswap vs Binance gap; capture via flash loan or held inventory
Source: DeFi
Deep reinforcement on LOB
Order Flow PredictionLong/Short
DQN/PPO on order book state to learn optimal exec or take/make decisions
Source: ML Quant
Direct feed vs SIP arb (DEBUNKED post Reg-NMS Reform)
Latency ArbNeutral
Historical: direct exchange feeds faster than consolidated SIP; arb diff (mostly closed by SIP improvements)
Source: Historical
Dodd-Frank LEI requirement
ComplianceNeutral
Legal Entity Identifier required for all institutional traders post-Dodd-Frank
Source: Dodd-Frank
Drop-copy reconciliation
Risk ControlsNeutral
Real-time mirror of fills from exchange to own system for state verification
Source: Risk
ETF-NAV intraday arb
Cross-Asset HFTNeutral
AP creation/redemption; close 5bp+ gaps via primary market
Source: AP
FIFO queue priority MM
Market MakingNeutral
Place limit orders early to gain queue priority; cancel and re-add to maintain top
Source: HFT Standard
FIX FAST protocol
InfrastructureNeutral
FIX adapted for streaming compressed market data; common in equities/futures
Source: FIX
FPGA tick-to-trade
InfrastructureNeutral
FPGA hardware processes ticks and emits orders in 100-500ns; fastest possible
Source: Algo Storm
FX ECN latency arb
Latency ArbNeutral
EBS Currenex ECNs have 2-4ms latency gaps; sniper stale quotes
Source: QuantVPS
Futures-cash latency arb
Latency ArbNeutral
E-mini futures lead SPY by ~30-100us; sniper SPY quotes after futures move
Source: Quant
Glosten-Milgrom MM with adverse selection
Market MakingNeutral
Spread = adverse selection cost; widen quotes when informed flow detected
Source: Glosten-Milgrom 1985
Hardware timestamping (PTP/IEEE 1588)
InfrastructureNeutral
Precision Time Protocol for nanosecond-resolution timestamping needed for compliance and analytics
Source: PTP
Hawkes process self-exciting orders
Order Flow PredictionLong/Short
Hawkes process models clustering of buy/sell arrivals; predict clustered flow
Source: Bacry Mastromatteo
Hidden liquidity probing
Market MakingNeutral
Send small probe IOC orders to detect hidden iceberg liquidity at price levels
Source: HFT Tactic
Hide-not-slide order placement
Execution AlgosNeutral
Use Hide-Not-Slide order types on direct edge to maintain queue position
Source: Direct Edge
High-frequency cointegration
Statistical HFTNeutral
Cointegration on 1-sec data within trading day; very fast reversion pairs
Source: Tick Stat Arb
Ho-Stoll inventory-based MM
Market MakingNeutral
Adjust quotes based on inventory deviation from target; foundational MM model
Source: Ho-Stoll 1981
Hollow-core fiber
InfrastructureNeutral
99.7% speed of light fiber; faster than standard glass for medium hops
Source: Tech
ITCH/OUCH NASDAQ direct feeds
InfrastructureNeutral
NASDAQ ITCH = market data, OUCH = orders; binary fastest direct
Source: NASDAQ
IWM-RTY futures arb
Cross-Asset HFTNeutral
Russell 2000 cash-futures basis arb
Source: Standard
Iceberg detection from refresh pattern
Order Flow PredictionLong/Short
Detect icebergs by refresh patterns (same price multiple fills); fade exhaustion
Source: HFT Tactic
Iceberg/reserve order strategy
Execution AlgosNeutral
Display only small portion of large order; auto-replenish on fill
Source: Standard
Implementation Shortfall (Perold)
Execution AlgosNeutral
Trade off market impact vs price drift risk for arrival price benchmark
Source: Perold 1988
Inverted exchange rebate (NYSE Arca/EDGA)
Microstructure TacticsNeutral
Some venues pay takers; net rebate after broker SOR routing
Source: Fees
Kernel bypass (Solarflare/Mellanox)
InfrastructureNeutral
OpenOnload/VMA bypass kernel TCP stack for 5-10us savings
Source: Linux
LULD (Limit Up Limit Down) reopen trade
Microstructure TacticsLong/Short
After single-stock LULD halt, trade reopen aggression
Source: Reg
Layering (DEBUNKED illegal)
Microstructure TacticsAdversarial
Place fake orders at multiple levels to push price; (DEBUNKED illegal)
Source: DEBUNKED
Lead-lag at tick scale
Statistical HFTLong/Short
Stock A leads stock B by 100-500ms; trade lag B after A move
Source: Tick Lead-Lag
Liquidity-seeking algo (Liquidity Hunt)
Execution AlgosNeutral
Aggressive sweep across lit and dark venues to capture liquidity opportunistically
Source: Broker
Lobster ML order book prediction
Order Flow PredictionLong/Short
DeepLOB CNN-LSTM on full order book predicts mid-price 10-50 ticks ahead
Source: Zhang DeepLOB
Lock-free disruptor pattern (LMAX)
InfrastructureNeutral
Single-threaded event loop with lock-free ring buffer; 100M+ events/sec
Source: LMAX
Maker-taker rebate arbitrage
Microstructure TacticsNeutral
Add liquidity for maker rebates 0.20-0.30/100sh; net positive even on flat trades
Source: Fees
MiFID II clock synchronization
ComplianceNeutral
100us synchronization with UTC required for HFT in EU under MiFID II
Source: MiFID II
Microstructure noise stat arb
Statistical HFTNeutral
Capture mean reversion of bid-ask bounce on illiquid stocks
Source: Microstructure
Microwave wireless Chicago-NJ
InfrastructureNeutral
~4ms one-way Chicago-NJ vs 6ms fiber; ES-SPY arb backbone
Source: Spread Networks
Mid-point peg MM
Market MakingNeutral
Use midpoint peg orders on dark pools; capture half-spread on internalized fills
Source: Dark Pool
Momentum ignition (DEBUNKED gray)
Microstructure TacticsAdversarial
Initiate moves to trigger stops/algos for benefit (gray-area; some classified as manipulation)
Source: Gray
Multi-venue best bid offer (NBBO) MM
Market MakingNeutral
Quote at NBBO across multiple venues; route to maintain top-of-book on each
Source: Reg NMS
Opening cross participation
Execution AlgosNeutral
Submit MOO orders to participate in NASDAQ Opening Cross or NYSE auction
Source: Auction
Options stale quote snipe (Reg vs MM cap)
Latency ArbNeutral
Options MMs have quote-update caps; sniper exploits stale option quotes after stock moves
Source: ScienceDirect 2024
Order book reconstruction stat arb
Order Flow PredictionLong/Short
Reconstruct full LOB from MBO data; trade signal from full depth not just top
Source: Microstructure
Order flow autocorrelation alpha
Statistical HFTLong/Short
Buy/sell flow autocorrelated 30-300sec; predict short-term price drift
Source: Microstructure
Order rate kill switch
Risk ControlsNeutral
Cap orders/sec; halt if exceeds threshold (anti-runaway-loop)
Source: Knight Lesson
Order-to-trade ratio surveillance
ComplianceNeutral
Exchanges monitor cancel/trade ratios; HFT firms must keep below thresholds (e.g. 100:1) or face fees
Source: MiFID
PITCH BATS/CBOE direct feed
InfrastructureNeutral
BATS/CBOE binary direct feed; full LOB
Source: BATS
POV (percent of volume) algo
Execution AlgosNeutral
Trade fixed % of market volume; opportunistic with caps
Source: Standard
Pairs execution (basket trading)
Execution AlgosNeutral
Execute long-short basket simultaneously to maintain market neutrality
Source: Basket
Pegged-to-market dark algo
Execution AlgosNeutral
Place pegged orders in dark pools to capture midpoint executions
Source: Dark
Position limit kill switch
Risk ControlsNeutral
Hard kill if position exceeds X; prevents Knight Capital style runaway
Source: Knight Lesson
Pre-trade risk checks (Reg 15c3-5)
Risk ControlsNeutral
SEC Rule 15c3-5 mandated; price/size/credit checks before order leaves
Source: Reg
Pro-rata queue priority MM
Market MakingNeutral
Optimize order size for pro-rata matching exchanges (Eurex options some futures)
Source: Exchange Specific
QQQ-NQ futures arb
Cross-Asset HFTNeutral
NQ futures lead QQQ; same as ES-SPY
Source: Standard
Quote stuffing (DEBUNKED illegal)
Microstructure TacticsAdversarial
Flood market with quote/cancels to slow rivals (DEBUNKED illegal market manipulation)
Source: DEBUNKED
Quote stuffing detection counter
Market MakingNeutral
Detect quote stuffing patterns by adversaries and pull quotes preemptively
Source: Microstructure
Realized vol mean reversion intraday
Statistical HFTNeutral
Intraday RV mean reverts within day; trade vol overshoots
Source: Vol Quant
Reg NMS Order Protection Rule arb
Execution AlgosNeutral
Exploit ISO orders to trade through stale quotes legally under Reg NMS
Source: Reg NMS
SP500 cash basket vs ES
Cross-Asset HFTNeutral
Trade ES futures vs full SP500 basket; capital intensive but pure
Source: Index Arb
SPY-ES futures arb
Cross-Asset HFTNeutral
E-mini ES leads SPY by ms; arb basis intraday; classic Chicago-NJ trade
Source: Microwave
Self-trade prevention (STP)
Risk ControlsNeutral
Cancel orders that would trade against own resting orders; avoid wash trades
Source: Reg
Short-term momentum from order book
Order Flow PredictionLong/Short
Predict 1-100ms move from book imbalance ratio (bid_size - ask_size)/(bid+ask)
Source: Cartea
Simple Binary Encoding (SBE)
InfrastructureNeutral
Zero-copy serialization standard from CME; faster than FIX/protobuf
Source: CME SBE
Smart Order Router (SOR)
Execution AlgosNeutral
Route order across venues to capture NBBO and minimize fees taking rebates
Source: Best Execution
Spoofing (DEBUNKED illegal)
Microstructure TacticsAdversarial
Place large orders intending to cancel; pushed price illegally; Sarao Flash Crash 2010
Source: DEBUNKED
Spoofing detection counter
Order Flow PredictionNeutral
Detect and ignore spoofing patterns: large orders cancelled before fill
Source: ML Quant
Stoikov microstructure noise hedging
Market MakingNeutral
Filter microstructure noise from realized vol estimator before quote adjustment
Source: Stoikov
Sub-penny pricing arb
Microstructure TacticsNeutral
Exploit dark pool sub-penny matching to step ahead of lit-market displayed orders
Source: Dark Pool
Sub-second mean reversion stat arb
Statistical HFTNeutral
Trade 1-30sec mean reversion across factor-residual basket
Source: Quant
TWAP scheduling
Execution AlgosNeutral
Equal time slicing; simpler than VWAP for low-volume names
Source: Standard
Tail-of-day MOC strategy
Execution AlgosNeutral
Use Market On Close orders to lock to closing print for index tracking
Source: Standard
Tape arb (Trade Reporting Facility)
Microstructure TacticsNeutral
Trade tape print lag from TRFs; positions established before reporting catches up
Source: TRF
Tick-by-tick stop loss
Risk ControlsNeutral
Stop on absolute price move at sub-second resolution; HFT-specific risk control
Source: Risk
Trade flow imbalance signal
Order Flow PredictionLong/Short
Lehalle-Cartea OFI = signed volume imbalance; predicts very short-horizon returns
Source: Cartea Lehalle
Treasury futures-cash arb (basis trade)
Cross-Asset HFTNeutral
Long cash bond short futures; profit from CTD delivery; classic basis trade
Source: Bond Basis
VIX futures-spot arb
Cross-Asset HFTNeutral
Trade VIX cash vs futures based on term structure; complex due to non-tradable cash
Source: VIX
VPIN volume-synchronized PIN
Order Flow PredictionNeutral
Easley OHara VPIN measures order flow toxicity; widen quotes when high
Source: Easley OHara
VWAP scheduling participation
Execution AlgosNeutral
Schedule participation rate to match volume curve; match VWAP benchmark
Source: Standard
Volcker Rule market making exemption
ComplianceNeutral
Banks bona-fide MM exempt from Volcker prop trading ban; documentation required
Source: Volcker
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.